Try this:

Code:
Declare Function GetSystemMenu Lib "user32" _
(ByVal hwnd As Long, ByVal bRevert As Long) As Long

Declare Function GetMenuItemCount Lib "user32" _
(ByVal hMenu As Long) As Long

Declare Function DrawMenuBar Lib "user32" _
(ByVal hwnd As Long) As Long

Declare Function RemoveMenu Lib "user32" _
(ByVal hMenu As Long, ByVal nPosition As Long, _
ByVal wFlags As Long) As Long
Public Const MF_BYPOSITION = &H400&
Public Const MF_REMOVE = &H1000&
Form Code
Then paste this into the form:

Private Sub Form_Load()
Dim hSysMenu As Long
Dim nCnt As Long

' First, show the form
Me.Show

' Get handle to our form's system menu 
' (Restore, Maximize, Move, close etc.)
hSysMenu = GetSystemMenu(Me.hwnd, False)

If hSysMenu Then
' Get System menu's menu count
nCnt = GetMenuItemCount(hSysMenu)

If nCnt Then

' Menu count is based on 0 (0, 1, 2, 3...)

RemoveMenu hSysMenu, nCnt - 1, _
MF_BYPOSITION Or MF_REMOVE

RemoveMenu hSysMenu, nCnt - 2, _
MF_BYPOSITION Or MF_REMOVE ' Remove the seperator

DrawMenuBar Me.hwnd 
' Force caption bar's refresh. Disabling X button

Me.Caption = "Try to close me!"
End If
End If
End Sub